Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0271
Annualized Std Dev 0.2363
Annualized Sharpe (Rf=0%) 0.1145

Row

Daily Return Statistics

Close
Observations 3466.0000
NAs 1.0000
Minimum -0.1087
Quartile 1 -0.0059
Median 0.0008
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0071
Maximum 0.1918
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0149
Skewness 0.0674
Kurtosis 14.5050

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0106
Loss Deviation 0.0119
Downside Deviation (MAR=210%) 0.0153
Downside Deviation (Rf=0%) 0.0107
Downside Deviation (0%) 0.0107
Maximum Drawdown 0.6537
Historical VaR (95%) -0.0223
Historical ES (95%) -0.0366
Modified VaR (95%) -0.0196
Modified ES (95%) -0.0196
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2018-01-22 -0.6537 2573 339 2234
2020-02-20 2020-03-23 2020-10-08 -0.3578 162 23 139
2018-01-29 2018-12-24 2019-03-21 -0.1849 288 229 59
2007-07-16 2007-08-16 2007-10-29 -0.1566 75 24 51
2021-01-11 2021-03-04 NA -0.0654 49 37 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA 1 0.2 2.4 1 -2.5 -2.5 -0.4 -0.8
2008 1.1 -1.7 0.6 1.8 -1.3 1.8 -1.2 -1.3 -2.4 0.3 -9.4 3.3 -8.6
2009 -0.4 -2.5 2.9 1.4 3.9 1.9 1.1 -1.8 -3.1 -1.9 2.4 -1 2.6
2010 2.2 0.8 1.7 -1.1 -1.6 1 -0.1 3.6 0.8 -0.2 2.2 0.1 9.6
2011 2.3 -1.2 0.6 0.4 -1.8 1.4 -1 -2.2 -2.9 -3.7 -1.5 0.1 -9.1
2012 1.8 1.9 0.8 -0.1 -1.9 1.3 -0.7 0.4 0.5 1.2 -0.7 1.5 6
2013 0.3 -0.3 -1.5 -1 -1.6 0.6 1.3 -1.3 0.8 -0.5 0.5 1.4 -1.4
2014 -0.8 0.4 0.7 0.2 0.3 0.7 -0.9 0.1 -1.2 0.9 -0.3 -0.9 -0.8
2015 -1.1 0 0.2 0 0.1 -0.5 -0.5 -2.7 0.3 0.1 1.1 -0.7 -3.6
2016 -0.1 1.8 0 -0.7 0.1 0.1 -0.7 0.2 0.7 -0.8 -0.8 0 -0.2
2017 0.3 1.3 0 -0.2 0.6 0.5 0.3 0.6 1.3 0.8 -0.6 0 5.1
2018 0.1 -1.3 0.2 0.9 0.9 0.8 -0.9 0 0.4 1.7 0.2 0.6 3.6
2019 -0.2 0.8 1.2 -0.9 0.2 0.6 -0.5 0.1 -0.5 1 -0.8 0.3 1.2
2020 -1.8 -1.7 -5.7 -2.2 0.6 0.5 -1 0.3 0.4 -0.7 1.5 -0.2 -9.8
2021 1.6 1.6 0.5 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-06-13  24.7 SPY    152.  0.015    3.00e-4   0.009    0.0905    0.225    0.328    0.490 GLD    64.5  0.0067  -0.0283
2 2007-06-14  25.2 SPY    153.  0.0064   2.52e-2   0.0152   0.096     0.247    0.350    0.490 GLD    64.6  0.0011  -0.0101
3 2007-06-15  25.5 SPY    153.  0.0057   1.78e-2   0.014    0.110     0.245    0.348    0.514 GLD    64.8  0.0039   0.0098
4 2007-06-18  25.5 SPY    153. -0.00120  1.05e-2   0.0105   0.0905    0.212    0.341    0.508 GLD    65.0  0.0015   0.0039
5 2007-06-19  25.7 SPY    153.  0.0025   2.42e-2   0.0043   0.0873    0.230    0.346    0.472 GLD    65.5  0.0082   0.0215
6 2007-06-20  25.7 SPY    151. -0.0139  -4.90e-3  -0.0092   0.0548    0.222    0.330    0.440 GLD    64.7 -0.0118   0.0028
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart